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Subsampling weakly dependent time series and application to extremes

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  • Paul Doukhan
  • Silika Prohl
  • Christian Robert

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  • Paul Doukhan & Silika Prohl & Christian Robert, 2011. "Subsampling weakly dependent time series and application to extremes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 447-479, November.
    • Handle: RePEc:spr:testjl:v:20:y:2011:i:3:p:447-479
    DOI: 10.1007/s11749-011-0269-8
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    References listed on IDEAS

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    1. Bertail, Patrice & Haefke, Christian & Politis, D.N.Dimitris N. & White, Halbert, 2004. "Subsampling the distribution of diverging statistics with applications to finance," Journal of Econometrics, Elsevier, vol. 120(2), pages 295-326, June.
    2. Paul Doukhan & Gilles Teyssière & Pablo Winant, 2005. "A Larch Vector Valued Process," Working Papers 2005-49, Center for Research in Economics and Statistics.
    3. Doukhan, Paul & Louhichi, Sana, 1999. "A new weak dependence condition and applications to moment inequalities," Stochastic Processes and their Applications, Elsevier, vol. 84(2), pages 313-342, December.
    4. Doukhan, Paul & Wintenberger, Olivier, 2008. "Weakly dependent chains with infinite memory," Stochastic Processes and their Applications, Elsevier, vol. 118(11), pages 1997-2013, November.
    5. Andreia Hall & Manuel Scotto & João Cruz, 2010. "Extremes of integer-valued moving average sequences," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 19(2), pages 359-374, August.
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    Cited by:

    1. Agnieszka Jach & Tucker S. McElroy & Dimitris N. Politis, 2016. "Corrigendum to ‘Subsampling Inference for the Mean of Heavy-Tailed Long-Memory Time Series’ by A. Jach, T. S. McElroy and D. N. Politis," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(5), pages 713-720, September.
    2. Doukhan, Paul & Fokianos, Konstantinos & Li, Xiaoyin, 2012. "On weak dependence conditions: The case of discrete valued processes," Statistics & Probability Letters, Elsevier, vol. 82(11), pages 1941-1948.

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